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Alberto Plazzi

USI-Lugano

Associate Professor

Via Buffi 13

CH-6900 Lugano

Switzerland

Swiss Finance Institute

Assistant Professor

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

View CV
SCHOLARLY PAPERS

17

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Top 4,884

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7,079

CITATIONS
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Top 9,070

in Total Papers Citations

49

Scholarly Papers (17)

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1.

Valuation in the US Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and USI-Lugano
Downloads 1,275 (10,372)
Citation 6

Abstract:

Real Estate, MIDAS, Cap rate, Predictive regression

2.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 920 (19,706)
Citation 5

Abstract:

return asymmetry, international equity markets, portfolio allocation, skewness

3.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and USI-Lugano
Downloads 750 (24,460)
Citation 20

Abstract:

Cap rate, real estate, return predictability

4.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
Eric Ghysels, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, USI-Lugano, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 522 (20,315)
Citation 5

Abstract:

real estate, predictability, market efficiency, REIT

5.

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Downloads 507 ( 44,738)

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10
Number of pages: 42 Posted: 26 Mar 2013 Last Revised: 03 Jul 2015
Francesco A. Franzoni and Alberto Plazzi
USI Lugano and USI-Lugano
Downloads 441 (52,695)

Abstract:

hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Number of pages: 45 Posted: 04 Oct 2013 Last Revised: 11 Nov 2014
Francesco A. Franzoni and Alberto Plazzi
USI Lugano and USI-Lugano
Downloads 66 (292,424)

Abstract:

hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

6.

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Downloads 317 ( 78,607)
Citation 4

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
USI-Lugano, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 314 (78,945)
Citation 4

Abstract:

Commercial real estate, cross-sectional volatility, total risk

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Real Estate Economics, Vol. 36, Issue 3, pp. 403-439, Fall 2008
Number of pages: 37 Posted: 04 Aug 2008
Alberto Plazzi, Walter Torous and Rossen I. Valkanov
USI-Lugano, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 3 (559,904)
Citation 4
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7.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Number of pages: 57 Posted: 18 Oct 2013 Last Revised: 16 Sep 2017
Priyank Gandhi, Benjamin Golez, Jens Carsten Jackwerth and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, University of Notre Dame, University of Konstanz - Department of Economics and USI-Lugano
Downloads 281 (43,967)

Abstract:

Libor, manipulation, financial market misconduct, enforcement

8.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07
Number of pages: 21 Posted: 01 Feb 2011 Last Revised: 10 Mar 2011
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
USI-Lugano, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 170 (121,626)
Citation 3

Abstract:

Dynamic portfolio choice, real estate, cap rate

9.

Predicting Yields for Predicting Returns

Number of pages: 50 Posted: 17 Mar 2012 Last Revised: 25 Mar 2013
Michael Markovich and Alberto Plazzi
Investment Strategy - Private Banking Wealth Management and USI-Lugano
Downloads 104 (178,366)

Abstract:

bond risk premia, forward rates, neutral rate of interest, forecasting bond returns

10.

Valuation in US Commercial Real Estate

European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Number of pages: 26 Posted: 24 May 2007
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 17 (454,465)
Citation 6
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Abstract:

11.

Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets

Number of pages: 57 Posted: 29 May 2017 Last Revised: 08 Jun 2017
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and USI-Lugano
Downloads 0 (380,505)

Abstract:

unconventional monetary policy, integration, international equity markets, CDS

12.

Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Swiss Finance Institute Research Paper No. 16-54
Number of pages: 36 Posted: 09 Sep 2016 Last Revised: 21 Sep 2016
Alberto Plazzi and Walter N. Torous
USI-Lugano and Massachusetts Institute of Technology
Downloads 0 (74,422)

Abstract:

corporate governance, AGR, operating performance

13.

Diversification by U.S. Banks: True Safety or a False Sense of Security?

Swiss Finance Institute Research Paper No. 16-43
Number of pages: 52 Posted: 02 Jul 2016 Last Revised: 22 Jul 2017
Priyank Gandhi, Patrick Christian Kiefer and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, University of California, Los Angeles (UCLA) - Anderson School of Management and USI-Lugano
Downloads 0 (211,257)

Abstract:

Bank diversification, Non-interest income, Systemic risk, Financial crisis

14.

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355
Number of pages: 79 Posted: 20 Jun 2016
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, Stanford Graduate School of Business and USI-Lugano
Downloads 0 (485,594)
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Abstract:

15.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, USI-Lugano and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0 (88,012)

Abstract:

risk, return, financial crisis, flight-to-safety

16.

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 78 Posted: 14 Mar 2016 Last Revised: 22 Jul 2017
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, Stanford Graduate School of Business and USI-Lugano
Downloads 0 (63,399)

Abstract:

Financial crisis, Financial firms, Banking, Government bailouts

17.

Birds of a Feather – Do Hedge Fund Managers Flock Together?

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 41 Posted: 10 Feb 2016 Last Revised: 03 Jun 2016
Marc Gerritzen, Jens Carsten Jackwerth and Alberto Plazzi
Berenberg, University of Konstanz - Department of Economics and USI-Lugano
Downloads 0 (122,169)

Abstract:

hedge funds, social ties, networks, abnormal performance

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